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I am trying to capture the daily closing price of the SPY using timecodes.
I have noticed by looking on the time&sales that the closing prices do not match up with the last trades before the 4pm bell.
For example: Today's last trade at 15:59:59 was 207.28, but the daily closing price was 207.26, which didn't first occur until almost 15 minutes later.
Just when exactly does the SPY's closing price occur? I cannot seem to find the answer anywhere.
Thanks!
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Jared Broad
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